PATH PROPERTIES OF MULTIFRACTAL BROWNIAN MOTION

被引：0
|
作者：
Ralchenko, K. V. [1 ]
Shevchenko, G. M. [1 ]
机构：
[1] Kyiv Natl Taras Shevchenko Univ, Fac Mech & Math, Dept Probabil Theory Stat & Actuarial Math, Volodymyrska 64, UA-01601 Kiev, Ukraine
来源：
THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS | 2009年 / 80卷
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D O I：
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中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider a multifractal Brownian motion, which is a new generalization of fractional Brownian motion to the case where the Hurst parameter H is a function of time t. Continuity of paths of the proposed process is proved. Their global and local Holder properties are studied.
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页码：106 / 116
页数：11
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